Search for tag: "probability"

Lecture 24: change of probability

Absolutely continuous probability measures. Measures defined by a density. The Radon-Nykodym theorem. Expectation under the new probability.

From  Tiziano Vargiolu 25 plays 0  

Numerical Methods in Probability - lecture 6

Random walk approximation of Brownian motion. Tree methods. Computationally simple trees: the case of a constant diffusion and the general case. How to parallelize the algorithm.

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Numerical Methods in Probability - lecture 5

A general weak convergence result for diffusion processes. Monte Carlo simulation of a diffusion process: the Euler scheme. Discretization error and Monte Carlo error. How to parallelize the…

From  Tiziano Vargiolu 16 plays 0  

Numerical Methods in Probability - lecture 4

Brownian motion. Nondifferentiability of paths. The stochastic integral and the Ito isometry. Ito processes and Ito formula. Stochastic differential equations.

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Numerical Methods in Probability - lecture 3

Markov chains: definition and examples. Simulation of a Markov chain. Simulation of Markov chains in the ergodic case.

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Numerical Methods in Probability - lecture 2

Variance reduction methods in Monte Carlo: antithetic variables, control variates, importance sampling. Examples and implementation

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Numerical Methods in Probability - lecture 1

Introduction to the course. Monte Carlo methods. Simulation of random variables. Error estimation with Monte Carlo methods.

From  Tiziano Vargiolu 31 plays 0  

MathSport International 2017: Explaining Success in Sports Competitions, G.Tutz und G. Schauberger

Keynote Tuesday 27 June 09:00 ---- Explaining Success in Sports Competitions: Paired Comparison Methods with Explanatory Variables Speakers: Gerhard TutzProfessor em. at…

From  Omar Trevisan 17 plays 0  

MathSport International 2017: Sports & Wellbeing with Technology & Data

Keynote Monday 26 June 14:00 ---- Sports & Wellbeing with Technology & Data Speakers: Fabrizio Renzi:Direttore Tecnologia e Innovazione, IBM ItaliaPietro LeoExecutive Architect - IBM Italy…

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MathSport International 2017: Mathematical models for sport: America's Cup, Olympic Rowing and more

Keynote Wednesday 28 June 14:00 ---- Mathematical models for sport: America's Cup, Olympic Rowing and more Speaker: Nicola ParoliniProfessor of Numerical Analysis at the MOX Laboratory -…

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